Three Bernoulli variables through characteristic functions

ID: three-bernoulli-variables-through-characteristic-functions

Let be independent random variables, each with the Bernoulli distribution of parameter , and let . Multiplying their characteristic functions and expanding by the binomial theorem gives
The coefficients are exactly the probability mass function of the binomial distribution with parameters : the sum takes with probabilities . Direct outcome counting verifies them: an outcome with ones has probability , and there are such outcomes. The coefficients sum to one, recovering .
At , . This is also : the complex exponential now records parity. The moments agree by two routes: linearity of expectation gives , while the variance of a sum of independent random variables gives . Summing gives the second moment , also recovered as .
Figure 1.
Independent products and the different limits of averages and variance-normalized sign sums
. Top: exact real parts and imaginary parts of and its cube, the characteristic function of the three-variable binomial distribution. Bottom: for independent symmetric signs, approaches one under averaging, whereas approaches under variance normalization. All curves are exact model formulas; the finite curves illustrate the two limits rather than proving a general central limit theorem. Details.

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